Accession Number:

ADA585087

Title:

Asymptotics of Markov Kernels and the Tail Chain

Descriptive Note:

Technical rept.

Corporate Author:

CORNELL UNIV ITHACA NY

Personal Author(s):

Report Date:

2013-01-01

Pagination or Media Count:

27.0

Abstract:

An asymptotic model for extreme behavior of certain Markov chains is the tail chain. Generally taking the form of a multiplicative random walk, it is useful in deriving extremal characteristics such as point process limits. We place this model in a more general context, formulated in terms of extreme value theory for transition kernels, and extend it by formalizing the distinction between extreme and non-extreme states. We make the link between the update function and transition kernel forms considered in previous work, and we show that the tail chain model leads to a multivariate regular variation property of the finite-dimensional distributions under assumptions on the marginal tails alone.

Subject Categories:

  • Statistics and Probability
  • Machinery and Tools

Distribution Statement:

APPROVED FOR PUBLIC RELEASE